Serving the Quantitative Finance Community
Characteristic Functions
Can someone provide a good educational reference on characteristic functions and Fourier transforms for someone with decent probability background but little education in complex numbers?Thanks
Characteristic Functions
I think you should be able to find such discussions in graduate probability textbooks (try Feller vol. 2, Durrett, or Billingsley, for example). There's also some chance that they're in textbooks on mathematical analysis (the graduate Rudin, Royden, Apostol's undergrad book), but I'm less certain about this.
Characteristic Functions
Also this book has a nice intuitive explanation / this is a fft tutorial
Last edited by asd on September 9th, 2006, 10:00 pm, edited 1 time in total.